Akram Hasanov, Dr

akram.hasanov@monash.edu
603 5514 4455
Room 6-5-96

I completed my PhD at University Putra Malaysia in 2012. Prior to joining Monash University Malaysia, I was a post doctorial research fellow at University Putra Malaysia. My principal research interests lie in the areas of time series analysis and forecasting, applied econometrics and financial volatility modelling. My research papers have been published in a number of international refereed journals. In addition, I was an invited speaker and presented papers at international conferences. I obtained several international and national competitive research grants. Also, I refereed articles for international journals of high-esteem such as Energy Economics, Economic Modelling, and Journal of Applied Statistics. My more recent specific research investigates the volatility forecasting performance of a wide variety of conditionally heteroskedastic models in the context of biofuel feedstock markets in the presence of structural breaks. In this research, the model specifications allow for different conditional distribution functions in the rolling window estimations. At Monash University, I have taught Financial Econometrics, Applied Econometrics, Survey Methods and Managerial Statistics, and Operations Research. Currently, I am co-supervising three PhD students and supervising two Honors students.

Academic Qualifications

Doctor of Philosophy
Institution University Putra Malaysia
Year awarded 2012
Master of Accountancy
Institution Tashkent Finance Institute
Year awarded 2003

Areas of Expertise

1 Time Series Analysis and Forecasting
2 Applied Macro Econometrics
3 Volatility Modelling of Financial and Commodity Returns

Teaching

Subject CodeSubject
ETW3410 Applied Econometrics
ETW 3481 Econometric Methods for Finance
ETW2480 Business Modeling Methods
ETW2420 Survey Methods and Managerial Statistics

Book Chapters

1 Herath, G., Hasanov, A.S. (2017). Climate Change and Threats to Sustainability in South East Asia: Dynamic Modelling Approach for Malaysia. In (Eds) Batabyal, A.A., Nijkamp, P., Regional Growth and Sustainable Development in Asia. Springer International Publishing Switzerland.
2 Hameed, A.A, Hasanov, A.S., Idris, N., Abdullah, A.M., Arshad, F.M., Shamsudin, M. (2014). Supply and Demand Model for the Malaysian Cocoa Market. In (Eds) Yacob, M.R., Radam, A., Alias, E.F. Quantitative Models for Agricultural Policy Analysis. Universiti Putra Malaysia Press.

Scholarly Journals

1

Hasanov, A.S., Poon, W.C., Al-Freedi, A., and Heng, Z. Y. (2018). Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions. Energy Economics, 70, pp. 307-333.

2

Hasanov, A.S., Do, H.X., and Shaiban, M. (2016)Fossil fuel price uncertainty and feedstock edible oil prices: Evidence from MGARCH-M and VIRF analysis. Energy Economics, 57, pp. 16-27.

3

Hasanov, A.S. and Baharumshah, A.Z. (2014)Exchange rate risk and exports: Evidence from a set of transition economies. Problems of Economic Transition, 57(1), pp. 80-101.

4

Hasanov, A.S. and Shitan, M. (2014). Volatility model estimations of palm oil price returns via long-memory, asymmetric and heavy-tailed GARCH parameterization. Malaysian Journal of Mathematical Sciences, 8(1), pp. 15-34.

Conference Presentations and Proceedings

1Hasanov, A.S., Poon W.C., Al-Freedi, A. (2017). Forecasting volatility in the biofuel feedstock and energy commodity markets under structural breaks: A comparison of alternative distributional assumptions. International Conference on Social Science, Literature, Business and Education, Vienna, Austria, 17-18 March 2017.
2

Li Di, M.S. Shaiban, A.S. and Hasanov, A.S. (2017). Contagion Effect from US banking to Conventional and Islamic banking in Dual-banking system during Financial Crisis. Paper was presented at KFUPM conference on Islamic banking and finance, November 19-20, 2017, Dammam, Saudi Arabia.

3 Shaiban, M., Li Di, Hasanov, A.S., (2017). Does investor sentiment have stronger explanatory power in determining oil prices than other determinants? International Conference on Energy Finance, Zhejiang University, Hangzhou, China, 26-27 May 2017.
4 Shaiban, M., Li Di, Hasanov, A.S., (2017). Bank equity prices and oil price shocks: A global perspective. International Conference on Energy Finance, Zhejiang University, Hangzhou, China, 26-27 May 2017.
5

Hasanov, A.S., Ahmad Sidique, S., and Nurul Islam, G. (2016). Mean and Variance Transmissions from Energy to Marine Commodities: Evidence from Causality Analysis Based on a Multivariate GARCH Process. Paper was presented at the Applied Financial Modelling Conference, February 4, 2016, Melbourne, Australia.

6

Hasanov, A.S. and Shaiban, M. (2015). Volatility Transmission and Volatility Impulse Response Functions in Islamic and Conventional Banks. Paper was presented at the 28th Australasian Finance and Banking Conference 2015, Sydney, Australia.

7

Hasanov, A.S. (2014). Trade Models with Risk Variables: Econometric Issues and Future Directions. International Statistical Institute, Regional Statistics Conference, ISI-RSC-2014. Sasana Kijang, Kuala-Lumpur, Malaysia, 17-21 November 2014, (Invited Speaker).

8

Hasanov, A.S.and Shitan, M. (2014). Multivariate Volatility Models in Finance. International Conference on Management Research and Advances in Accounting, ICMRAA-2013. Puteri Park Hotel, Kuala- Lumpur, Malaysia, 2-4 July 2013, (Invited Speaker).

Local Grants

Title Forecasting Malaysian Agricultural Commodity Price, Returns and Volatility: Evidence from Asymmetric GARCH-class of Models
Investigators Akram S. Hasanov, Poon Wai Ching
Funding Period 2014 – 2016
Funding Body/Organisation FGRS
Funding Amount RM 47,500
Title The dynamics of executive compensation, board diversity and ownership on dividend payout in Malaysian firms
Investigators Ravichandran K.Subramaniam, Teh Chee Ghee, Akram S. Hasanov, and Sakthi Mahenthiran
Funding Period 2014 - 2016
Funding Body/Organisation FRGS
Funding Amount RM 74,400
Title Structural Breaks in the Stock Return Votality of Malaysian Islamic Banks
Investigators Akram S. Hasanov, Mohammed Sharaf Mohsen Shaiban
Funding Period 2013 – 2014
Funding Body/Organisation Halal Ecosystem Research Platform, Monash University Malaysia
Funding Amount RM 10,000
Title Models with Risk Variables: Review of Econometric Issues and Perspectives
Investigators Akram S. Hasanov
Funding Period 2013 - 2014
Funding Body/Organisation SETA research platform, Monash University Malaysia
Funding Amount RM 3,000

International Grants

Title Exchange Rate Risk and Trade Flows: the case of Belarus, Kazakhstan, Russia and Ukraine
Investigators Akram S. Hasanov, Baharumshah A.Z.
Funding Period 2009-2011
Funding Body/Organisation EERC with the funds provided by Global Development Network and the Government of Sweden
Funding Amount USD 11,000.00

Current Supervision

Student Edwin Tan Kim Leng
Program of study PhD
Student Li Di
Program of study PhD

Completed Supervision

Student Puteri Zahrah Aminan Abdul Ghaffar
Program of study BBusCom Honours
Awarding university Monash University Malaysia
Student Zin Yau Heng
Program of study Post graduate diploma
Awarding university Monash University Malaysia

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